Implied Trinomial Trees
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Bibliographic InfoPaper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2005-007.
Length: 21 pages
Date of creation: Mar 2005
Date of revision:
option pricing; Black-Scholes formula; binomial trees; implied trinomial trees; implied Volatility; German Stock Index; DAX;
Find related papers by JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-12-01 (All new papers)
- NEP-FIN-2005-12-01 (Finance)
- NEP-FMK-2005-12-01 (Financial Markets)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
- Hull, John & White, Alan, 1990. "Valuing Derivative Securities Using the Explicit Finite Difference Method," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 25(01), pages 87-100, March.
- Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, Elsevier, vol. 7(3), pages 229-263, September.
- Matthias Fengler & Wolfgang HÃ¤rdle & Christophe Villa, 2003.
"The Dynamics of Implied Volatilities: A Common Principal Components Approach,"
Review of Derivatives Research, Springer,
Springer, vol. 6(3), pages 179-202, October.
- Fengler, Matthias R. & HÃ¤rdle, Wolfgang K. & Villa, Christophe, 2001. "The dynamics of implied volatilities: A common principal components approach," SFB 373 Discussion Papers 2001,38, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Chen, Ying & HÃƒÂ¤rdle, Wolfgang & Jeong, Seok-Oh, 2008.
"Nonparametric Risk Management With Generalized Hyperbolic Distributions,"
Journal of the American Statistical Association, American Statistical Association,
American Statistical Association, vol. 103(483), pages 910-923.
- Ying Chen & Wolfgang Härdle & Seok-Oh Jeong, 2004. "Nonparametric Risk Management with Generalized Hyperbolic Distributions," SFB 649 Discussion Papers SFB649DP2005-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany, revised Aug 2005.
- Ait-Sahalia, Yacine & Wang, Yubo & Yared, Francis, 2001. "Do option markets correctly price the probabilities of movement of the underlying asset?," Journal of Econometrics, Elsevier, Elsevier, vol. 102(1), pages 67-110, May.
- Michal Benko & Alois Kneip, 2005. "Common functional component modelling," SFB 649 Discussion Papers SFB649DP2005-016, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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